User Portlet

Head of Murex Practice at MThree Consulting. Senior Quantitative Analyst and financial products specialist with a long-term presence in international markets in trading, structuring, quantitative modelling, systems development and risk management capacities. Financial derivatives expert for all major tradable assets classes with a complete product coverage across the entire value chain.

Creator of dynamic and performing frameworks for the firm-wide delivery of pricing, risk, valuation and execution to a vast client base. Leader of functional teams and global business units with productive positioning and revenue-generation impact, facilitator of strategic initiatives and change programmes across critical functions and advisor to the senior management on the system strategy, platforms integration, data analytics, international business expansion and creation of compliant valuation regime.

Functional specialisation: • Design, modelling and pricing of derivatives products – linear and optional • Efficient programme implementation for the above mentioned categories • Models integration into the functional trading environment with risk- fluent single-access point • Coordination of tasks and routines for the efficient identification, capture and measurement risk-taking operations • Implementation of pricing and risk solutions for counterparty credit risk management with in-depth XVA expertise • Development and efficient implementation of data analytics routines covering major data classes within
financial services industry

Areas of interest: • Stochastic processes • Probability theory • Differential equations • Time series • Data analysis

Please see my full featured finance & economics articles in the STAFF PICKS section below. Here are some of my other articles available through attachment download:

• Detecting Patterns In the Time Series
• Valuation Of Credit Default Options
• Pricing Of Total Return Swaps
• Jump Diffusions Processes With Mathematica
• Valuation Of Credit Default Swaps
• Model Selection For Time Series II
• Measuring Exposures In Financial Derivatives - Numerical Approach
• Analytical methods for derivatives exposure measurement
• Efficient computation of the Credit Valuation Adjustment
• Forecasting and predictions with Time Series models
• Practical implementation of Bilateral CVA model with structural dependencies
• Time Series Models with Heavy Tail distributions
• Time Series models in higher dimensions
• Smooth interpolation for financial time series
• Interpolation routines in higher dimensions
• VaR, CVaR and their applications in Time Series modelling
• Explaining the logic of CVA VaR
• Wrong way risk for CVA
• Explaining CVA Sensitivities
• CVA in the portfolio space
• Conditional CVA with Gamma specification
• Collateralised CVA analysis
• Collateralised CVA with dependency structure
• Incremental Risk Charge under different distributional dynamics
• Construction of multivariate Brownian Bridge Process
• Interest rate derivatives in multi-curves framework
• Consistent foreign exchange derivatives
• Why futures and forwards differ?
• Fast curve building with linear solve method